TSM Options History — August 2010

In August 2010, TSM traded between $9.40 and $10.26. ATM implied volatility averaged 20.3%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.3% (HV 20d: 20.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.70.

Notable Days

  • 2010-08-12: Highest Volume — 14,096 contracts
  • 2010-08-12: Largest IV spike — 50.0% change
  • 2010-08-12: Highest IV Rank — 17.5%
  • 2010-08-12: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.78$9.40$10.26$10.26$9.40
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV20.3%12.9%25.8%22.2%20.1%
Expected Move6.1%3.7%7.4%6.4%5.7%
HV 20d20.6%14.9%24.3%23.6%17.9%
HV 60d25.2%22.4%28.2%28.2%22.4%
IV Rank9.6%0.0%17.5%11.9%10.6%
IV Percentile12.1%0.0%30.2%12.3%11.9%
Term Structure5.8%2.3%13.8%2.4%9.1%
VWIV21.7%12.7%25.8%22.4%21.9%
Skew 25d14.7%1.5%38.8%6.1%15.2%
Skew 10d27.7%-0.9%65.5%48.1%23.0%
Call IV 25d26.6%12.6%45.7%26.9%22.7%
Put IV 25d41.3%27.8%74.9%33.0%37.9%
Bid-Ask Spread %23.5613.3667.5227.6113.74
Gamma HHI0.950.910.980.950.94
Net GEX1.7M341.8K3.9M2.2M341.8K
Net DEX-6.6M-25.4M2.4M-25.4M1.3M
Net VEX-91.5K-107.5K-78.9K-106.5K-80.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.0012.050.430.14
Total Volume1,311.864114,0967616
Total OI54,967.36443,28566,27564,93643,915

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$10.26$10.0022.2%6.4%23.6%11.9%22.4%6.1%2.4%2.2M-25.4M-106.5K0.4327.61532349,94014,996
2010-08-03$10.23$10.0020.9%6.0%23.5%10.0%0.0%9.9%3.8%2.4M-24.1M-107.5K0.0029.721049,95114,996
2010-08-04$10.22$10.0021.6%6.2%22.9%11.1%21.4%10.5%2.6%2.4M-24.1M-106.2K3.4229.074314749,95214,996
2010-08-05$10.12$10.0018.3%5.2%23.0%6.0%0.0%2.6%5.6%3.1M-21.5M-105.9K0.1525.7134549,93815,023
2010-08-06$9.96$10.0018.4%6.5%23.6%6.2%22.8%5.6%3.5%3.3M-15.4M-104.5K1.2614.0936646349,97215,027
2010-08-09$9.95$10.0018.8%6.8%23.5%6.8%23.6%24.5%3.3%3.6M-14.7M-102.6K12.0540.942024149,96115,446
2010-08-10$9.93$10.0017.6%6.3%23.3%5.0%0.0%25.2%5.1%3.9M-13.3M-101.7K9.6722.374341649,95715,686
2010-08-11$9.73$10.0017.2%7.0%24.3%4.4%24.2%5.1%4.3%2.7M-3.2M-93.3K1.3919.4221129349,96216,102
2010-08-12$9.77$10.0025.8%7.4%24.3%17.5%25.8%5.0%2.3%3.1M-3.9M-93.7K0.0022.2414,0643249,94616,329
2010-08-13$9.70$10.0024.8%7.1%23.2%15.9%24.8%5.3%3.3%1.3M67.4K-84.9K0.7218.06362636,08816,361
2010-08-16$9.77$10.0025.4%7.3%21.9%16.9%25.4%1.5%3.6%1.6M338.5K-83.9K0.0067.52111036,10716,369
2010-08-17$9.88$10.0025.3%7.2%21.4%16.7%25.3%4.2%3.3%2.1M-5.1M-87.9K0.9617.4443541936,17216,369
2010-08-18$9.77$10.0025.0%7.2%20.6%16.3%25.0%6.3%2.9%1.6M687.9K-82.4K0.4520.6134115536,31616,656
2010-08-19$9.64$10.0024.8%7.1%17.9%16.0%24.9%6.3%3.4%703.3K2.4M-78.9K0.1423.351852636,03516,733
2010-08-20$9.68$10.0022.4%6.4%17.7%12.3%22.5%7.6%5.6%1.1M1.4M-79.3K0.0021.659,5253036,12816,581
2010-08-23$9.69$10.0020.5%5.9%17.0%9.3%20.5%10.8%6.5%454.7K-1.9M-89.9K0.0127.08138128,40714,878
2010-08-24$9.54$10.0012.9%3.7%17.2%0.0%12.7%37.5%13.8%393.9K-585.4K-87.1K4.9016.466029428,52514,879
2010-08-25$9.47$10.0015.3%4.4%17.1%3.5%16.0%38.8%12.6%349.9K674.6K-83.9K0.6715.09604028,55714,991
2010-08-26$9.43$10.0016.6%4.8%14.9%5.5%15.6%37.9%9.1%369.5K1.1M-82.6K0.1115.49931028,55415,004
2010-08-27$9.65$10.0016.5%4.7%17.6%5.4%0.0%22.9%12.3%484.3K-587.8K-87.9K0.0117.37344528,57715,014
2010-08-30$9.42$10.0016.2%4.6%17.9%4.9%15.0%34.9%9.7%357.4K586.3K-81.3K0.8113.36312528,89014,996
2010-08-31$9.40$10.0020.1%5.7%17.9%10.6%21.9%15.2%9.1%341.8K1.3M-80.2K0.1413.7414228,89415,021